Items where Author is "Hallin, Marc"

Journal Article

Hallin, Marc and La Vecchia, Davide and Liu, Hang (2022) Center-Outward R-Estimation for Semiparametric VARMA Models. Journal of the American Statistical Association, 117 (538). pp. 925-938. ISSN 0162-1459

Barigozzi, Matteo and Hallin, Marc and Soccorsi, Stefano and von Sachs, Rainer (2021) Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. Journal of Econometrics, 222 (1). pp. 324-343. ISSN 0304-4076

Barigozzi, Matteo and Hallin, Marc and Soccorsi, Stefano (2019) Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models. Journal of Financial Econometrics, 17 (3). pp. 462-494. ISSN 1479-8409

Contribution in Book/Report/Proceedings

Hallin, Marc and Liu, Hang and Mukherjee, Kanchan (2023) M-Estimation in GARCH Models in the Absence of Higher-Order Moments. In: Research papers in Statistical Inference for Time Series and Related Models : Essays in Honor of Masanobu Taniguchi. Springer, Singapore, pp. 195-219. ISBN 9789819908028